新冠疫情下玉米价格风险的对冲策略研究

Research on the Hedging Strategy of Corn Price Risk Under the COVID-19

2020年初,新冠疫情肆虐,给我国经济带来了巨大影响,也对粮食的价格造成了巨大波动。粮食的生产、加工、运输、销售等环节都面临着价格风险,如何管理疫情期间粮食价格的波动风险显得十分必要。本文通过构建套期保值策略来管理疫情期间粮食的价格风险(以玉米为例)。首先对疫情期间玉米(我国三大主粮之一)现货的价格风险进行测度。其次通过OLS模型和误差修正模型ECM构建套期保值策略,以及针对策略进行绩效评价。最后通过纵向对比套保绩效,分析新冠疫情对玉米价格风险对冲策略的影响。

At the beginning of 2020,the epidemic was rampant,which not only had a great impact on China’s economy,but also caused great fluctuations in the price of grain.The production,processing,transportation and sale of grain are faced with price risk,so how to manage the risk of grain price fluctuation during the epidemic is very necessary.In this paper,it constructs a hedging strategy to manage the price risk of grain during the epidemic(taking corn as an example).First of all,the spot price risk of corn(one of the three staple grains in China)during the epidemic period was measured.Secondly,the hedging strategy is constructed by OLS model and error correction model ECM,and the performance of the strategy is evaluated.Finally,through the vertical comparison of hedging performance,the impact of the COVID-19 epidemic on corn price risk hedging strategy is analyzed.